On the valuation of fader and discrete barrier options in Heston's stochastic volatility model

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dc.contributor.author Griebsch, Susanne en_US
dc.contributor.author Wystup, Uwe en_US
dc.contributor.editor en_US
dc.date.accessioned 2012-02-02T11:03:04Z
dc.date.available 2012-02-02T11:03:04Z
dc.date.issued 2011 en_US
dc.identifier 2009008344 en_US
dc.identifier.citation Griebsch Susanne and Wystup Uwe 2011, 'On the valuation of fader and discrete barrier options in Heston's stochastic volatility model', Taylor and Francis, vol. 11, no. 5, pp. 693-709. en_US
dc.identifier.issn 1469-7688 en_US
dc.identifier.other C1 en_US
dc.identifier.uri http://hdl.handle.net/10453/15796
dc.description.abstract We focus on closed-form option pricing in Heston?s stochastic volatility model, where closedform formulas exist only for a few option types. Most of these closed-form solutions are constructed from characteristic functions. We follow this closed-form approach and derive multivariate characteristic functions depending on at least two spot values for different points in time. The derived characteristic functions are used as building blocks to set up (semi-) analytical pricing formulas for exotic options with payoffs depending on finitely many spot values such as fader options and discretely monitored barrier options. We compare our result with different numerical methods and examine the computational accuracy. en_US
dc.language en_US
dc.publisher Taylor and Francis en_US
dc.relation.isbasedon http://dx.doi.org/10.1080/14697688.2010.503375 en_US
dc.title On the valuation of fader and discrete barrier options in Heston's stochastic volatility model en_US
dc.parent Quantitative Finance en_US
dc.journal.volume 11 en_US
dc.journal.number 5 en_US
dc.publocation UK en_US
dc.identifier.startpage 693 en_US
dc.identifier.endpage 709 en_US
dc.cauo.name BUS.School of Finance and Economics en_US
dc.conference Verified OK en_US
dc.for 150205 en_US
dc.personcode 101517 en_US
dc.personcode 0000064420 en_US
dc.percentage 100 en_US
dc.classification.name Investment and Risk Management en_US
dc.classification.type FOR-08 en_US
dc.edition en_US
dc.custom en_US
dc.date.activity en_US
dc.location.activity en_US
dc.description.keywords Exotic options; Heston model; Characteristic function; Multidimensional FFT en_US
dc.staffid en_US


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